Martingale Methods in Financial Modelling

Name: Martingale Methods in Financial Modelling
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540209669
Price: 2742 CZK
Availability: InStock

Autor: Marek Musiela, Marek Rutkowski

Jazyk:

Vazba: Pevná

Vydavatel: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Dostupnost: Skladem u dodavatele

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In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapt...

Informace o knize

Autor

Marek Musiela, Marek Rutkowski

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2004

Stránek

638

EAN

9783540209669

ISBN

3540209662

Enbook ID

05273712

Vydavatel

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnost

1200

Rozměry

167 x 246 x 45

Kompletní popis

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

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Martingale Methods in Financial Modelling

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